When I load PCSX 2 it goes through the part that saids Sony Computer Entertainment or something like that, but after that I get the accursed this program encountered an error so Windows has to close program.

Perhaps you need to configure a bios, by setting gsdx plugin resolution to 'native' and then running again.
You can also try "Run CD/DVD", instead of execute.
Or, you're using an improperly dumped bios you downloaded from the internet.